Using Mean Reversion as a Measure of Persistence
Daniel Dias
Authors registered in the RePEc Author Service: Carlos Robalo Marques
Working Papers from Banco de Portugal, Economics and Research Department
Abstract:
This paper elaborates on the alternative measure of persistence recently suggested in Marques (2004), which is based on the idea of mean reversion. A formal distinction between the “unconditional probability of a given process not crossing its mean in period t” and its estimator, is made clear and the relationship between this new measure and the widely used “sum of the autoregressive coefficients”, as alternative measures of persistence, is investigated. Using the law of large numbers and the central limit theorem, properties for the estimator of the new measure of persistence are established, which allow tests of hypotheses to be performed, under very general conditions. Finally, some Monte Carlo experiments are conducted in order to compare the finite sample properties of the estimator for the “unconditional probability of a given process not crossing its mean in period t” and the OLS estimator for the “sum of the autoregressive coefficients”.
JEL-codes: C22 E31 E52 (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (19)
Downloads: (external link)
https://www.bportugal.pt/sites/default/files/anexos/papers/wp200503.pdf
Related works:
Journal Article: Using mean reversion as a measure of persistence (2010) 
Working Paper: Using mean reversion as a measure of persistence (2005) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w200503
Access Statistics for this paper
More papers in Working Papers from Banco de Portugal, Economics and Research Department Contact information at EDIRC.
Bibliographic data for series maintained by DEE-NTD ().